Titlebook: Sovereign Risk and Financial Crises; Michael Frenkel (Chair of Macroeconomics and Inter Book 2004 Springer-Verlag Berlin Heidelberg 2004 C

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Michael Frenkel (Chair of Macroeconomics and InterGoes into the heart of the academic discussion on financial stability, crisis and sovereign risk by centering on quantitative-empirical aspects, proposing new methods and evaluating prominent approach

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978-3-642-06080-9Springer-Verlag Berlin Heidelberg 2004

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cts, proposing new methods and evaluating prominent approach.Sovereign risk and financial crises play a key role in current international economic developments, particularly in the case of economic downturns. As the Asian economic crisis in the late 1990s revealed once again, financial crises are th

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Country Risk Analysis: Principles, Practices and Policiesapproaches that are being used to assess country risk are analyzed, especially balanced-score cards, ratings, secondary market prices, and option-based approaches. They are compared with respect to their theoretical foundations, their practical use in valuing investment projects, data availability,

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Country Default Risk and the Determinants of Sovereign Debt Discountsth periodic defaults and reschedulings as well as a definitive, loan-ending repudiation. Using data from 1986–1994 for 21 countries, we test the model as an explanatory variable for the secondary market sovereign debt discount alone and combined with the other major determinants of sovereign debt di

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Assessment of Sovereign Risk for South America: A Structural Approachel based on the structural approach as first introduced by Merton. The default probability depends on the sovereign’s ability-to-pay which is the sum of discounted future payment surpluses and foreign exchange reserves. The ability-to-pay is assumed to follow an Ito process. Its volatility is inferr

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The Impact of Sovereign Rating Changes during Emerging Market Crisesn of sovereign risk. This empirical study analyzes the role of rating agencies in international financial markets, particularly whether sovereign ratings have an impact on the financial stability in emerging economies. The event study and panel regression results indicate that the agencies have subs

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Managing Sovereign Credit Risk with Derivativess to hedge sovereign credit risk. For buyers of sovereign credit derivatives, the credit derivative market offers the opportunity to reduce credit concentration; for sellers of protection, sovereign credit derivatives offer the opportunity to take exposure. In a continuous-time framework the hedging

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Crises and Contagion in Financial Marketsand the consequences of such crises. This paper surveys several important questions in the context of currency crises. It first highlights the relevance of different types of financial market crises in the world economy. Subsequently, it discusses the different approaches that have been developed in